Thousands of people had joined the demonstration in the central city of Baida, which the Huthi militiamen who control the capital seized last month, said organising committee member Fahd al-Tawil.
The Huthis fired live rounds to disperse them, said Tawil.
A medic said "two people were killed and six others were wounded," raising an earlier toll, after injured protester succumbed to his wounds.
Demonstrations in support of President Abedrabbo Mansour Hadi have multiplied since he escaped from house arrest in the capital last month and resumed power from second city Aden.
The Huthis control much of northern Yemen but Aden and adjacent southern provinces are largely in the hands of troops and paramilitaries loyal to Hadi.